Optimization under rare chance constraints
From MaRDI portal
Publication:5081097
DOI10.1137/20M1382490zbMATH Open1493.90116arXiv2011.06052OpenAlexW3104728472MaRDI QIDQ5081097FDOQ5081097
Authors: Shanyin Tong, Anirudh Subramanyam, Vishwas Rao 
Publication date: 1 June 2022
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Abstract: Chance constraints provide a principled framework to mitigate the risk of high-impact extreme events by modifying the controllable properties of a system. The low probability and rare occurrence of such events, however, impose severe sampling and computational requirements on classical solution methods that render them impractical. This work proposes a novel sampling-free method for solving rare chance constrained optimization problems affected by uncertainties that follow general Gaussian mixture distributions. By integrating modern developments in large deviation theory with tools from convex analysis and bilevel optimization, we propose tractable formulations that can be solved by off-the-shelf solvers. Our formulations enjoy several advantages compared to classical methods: their size and complexity is independent of event rarity, they do not require linearity or convexity assumptions on system constraints, and under easily verifiable conditions, serve as safe conservative approximations or asymptotically exact reformulations of the true problem. Computational experiments on linear, nonlinear and PDE-constrained problems from applications in portfolio management, structural engineering and fluid dynamics illustrate the broad applicability of our method and its advantages over classical sampling-based approaches in terms of both accuracy and efficiency.
Full work available at URL: https://arxiv.org/abs/2011.06052
Recommendations
- Chance-constrained problems and rare events: an importance sampling approach
- Solving chance-constrained problems via a smooth sample-based nonlinear approximation
- Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization
- On safe tractable approximations of chance constraints
- Data-driven robust chance constrained problems: a mixture model approach
Numerical mathematical programming methods (65K05) Large deviations (60F10) Stochastic programming (90C15)
Cites Work
- BARON: A general purpose global optimization software package
- On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
- JuMP: a modeling language for mathematical optimization
- Variational Analysis
- Title not available (Why is that?)
- Stochastic simulation: Algorithms and analysis
- Optimization of computer simulation models with rare events
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Uncertain convex programs: randomized solutions and confidence levels
- A Sample Approximation Approach for Optimization with Probabilistic Constraints
- Title not available (Why is that?)
- Convex Approximations of Chance Constrained Programs
- Introduction to rare event simulation.
- Title not available (Why is that?)
- Lectures on stochastic programming. Modeling and theory.
- Sample average approximation method for chance constrained programming: Theory and applications
- Chance-constrained problems and rare events: an importance sampling approach
- An integer programming approach for linear programs with probabilistic constraints
- Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach
- Scenario approximations of chance constraints
- Methods of reducing sample size in Monte Carlo computations
- Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
- Benchmark study of numerical methods for reliability-based design optimization
- A survey on approaches for reliability-based optimization
- Title not available (Why is that?)
- Dominating points and the asymptotics of large deviations for random walk on \(R^ r\).
- A log-robust optimization approach to portfolio management
- Exploring Monte Carlo methods.
- Tauberian theorems, Chernoff inequality and the tail behavior of finite convolutions of distribution functions
- A critical note on empirical (Sample average, Monte Carlo) approximation of solutions to chance constrained programs
- Probabilistically Constrained Linear Programs and Risk-Adjusted Controller Design
- Title not available (Why is that?)
- Rogue waves and large deviations in deep sea
- Second-order reliability method-based inverse reliability analysis using Hessian update for accurate and efficient reliability-based design optimization
- A sequential algorithm for solving nonlinear optimization problems with chance constraints
- An inner-outer approximation approach to chance constrained optimization
- Solving joint chance constrained problems using regularization and Benders' decomposition
- (Sub-)differentiability of probability functions with elliptical distributions
- Sharp asymptotics of large deviations for general state-space Markov-additive chains in \(\mathbb{R}^d\)
- On probabilistic capacity maximization in a stationary gas network
- Extreme event quantification in dynamical systems with random components
- Solving chance-constrained problems via a smooth sample-based nonlinear approximation
- Extreme event probability estimation using PDE-constrained optimization and large deviation theory, with application to tsunamis
- Optimal Neumann boundary control of a vibrating string with uncertain initial data and probabilistic terminal constraints
- Mathematical cancer therapy planning in deep regional hyperthermia
Cited In (8)
- Data-Driven Approximation of Contextual Chance-Constrained Stochastic Programs
- Consistency of Monte Carlo estimators for risk-neutral PDE-constrained optimization
- Reliable Error Estimates for Optimal Control of Linear Elliptic PDEs with Random Inputs
- Method for solving chance constrained optimal control problems using biased kernel density estimators
- An empirical quantile estimation approach for chance-constrained nonlinear optimization problems
- Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions
- Consistency of sample-based stationary points for infinite-dimensional stochastic optimization
- Multifidelity Bayesian Experimental Design to Quantify Rare-Event Statistics
Uses Software
This page was built for publication: Optimization under rare chance constraints
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5081097)
